Coefficient constancy test in generalized random coefficient autoregressive model

摘要

In this paper, we study the problem of testing the constancy of the coefficients in the stationary one-order generalized random coefficient autoregressive model (GRCA). We construct a new nonparametric test statistic based on empirical likelihood method. The asymptotic distribution of the proposed statistic is derived and its finite-sample property is examined through Monte Carlo simulations. The simulation results show that the proposed method is good for practical use.